Don’t Forget – Ray Dalio Said Trading is Harder Than the Olympics

Source: Bloomberg

A New Paper Just Took a Huge Shot at Some of the World’s Hottest Investments

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  • Researchers find that price aberrations can’t be replicated
  • ‘Capital markets are more efficient than previously reported’

Just about every week, some researcher reports finding another statistical quirk in the equity market that might be harvested for a trading edge. Now a new paper says most of them don’t work as billed.

Looking at 447 supposedly repeating price patterns identified in the last few decades, academics from Ohio State and the University of Cincinnati contend that more than half are basically figments of their discoverers’ imagination. The study, “Replicating Anomalies” by Kewei Hou, Chen Xue and Lu Zhang, attributed the findings to a statistical sleight of hand known as p-hacking. (read more…)